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From: Peter Perkins <Peter.PerkinsRemoveThis@mathworks.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: multivariate student t distribution pdf in matlab?
Date: Tue, 24 Feb 2009 10:56:54 -0500
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per wrote:

> i am trying to evaluate the pdf for various points that are
> distributed according to a multivariate Student t distribution. all
> the stat texts tell me that the multivariate t distribution pdf takes
> three parameters: a mean mu and a correlation matrix C, and a degrees-
> of-freedom parameter (and the point to evaluate the pdf on obviously.)
> 
> the 'mvtpdf' function in matlab takes only two arguments: a degrees-of-
> freedom parameter and a correlation matrix C. what happened to the mu
> (mean) parameter? is there a way to evaluate this pdf in matlab
> according to the parametrization i have above?

Strictly speaking, the multivariate t has two parameters, but it's often the case that people add scale and location to that, and a simple transformation does the trick.  It's easy to compute the PDF for such a thing by unscaling and unshifting your data, then using MVTPDF and the usual rules for the PDF of a transformed variable.

Hope this helps.